GTA London is a windows game. DosBox is for dos games only.

That is incorrect, it's for DOS as well: http://www.mobygames.com/game/grand-theft-aut … k-1-london-1969
This game requires xcopy in the path, and set copycmd=/Y

Someone posted about this a while ago. The Windows version will work if you have an nVidia card, provided that you have the latest drivers and rename the EXE (odd as that sounds).
Garbled graphics in GTA 1
Garbled graphics in GTA 1.

Thanks for correcting me.

But if you want to play 3dfx dos version of the game (because you want to play in 1680x1050, 1920x1200, etc.):

1) download dosbox with glide from here
2) install nglide glide wrapper
3) set nglide resolution from start menu
4) launch gtados\gtafx.exe from dosbox console

I set association of .conf files with dosbox in windows("path_to_dos_box\dosbox.exe" -conf "%1") and put them in separate folder to launch my games from there, did the steps you listed, and gtafx didn't work, it said "Fatal error: unable to load DLL". I figured that the file glide2x.ovl(from dosbox folder) should be in the same folder as the .conf files.